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Stability of marketable payoffs with long-term assets

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  • Jean-Marc Bonnisseau

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Achis Chery

    (CREGED - Centre de Recherche en Gestion et Economie du Développement - Université Quisqueya, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a financial structure with possibly long-term assets. We exhibit a sufficient condition under which the set of marketable payoffs depends continuously on the arbitrage free asset prices. This generalizes previous results of Angeloni-Cornet and Magill-Quinzii involving only short-term assets. We also show that, under the same condition, the useless portfolios do not depend on the arbitrage free asset prices. We then provide an existence result of financial equilibrium for long term nominal assets for any given state prices with assumptions only on the fundamental datas of the economy.

Suggested Citation

  • Jean-Marc Bonnisseau & Achis Chery, 2013. "Stability of marketable payoffs with long-term assets," Post-Print halshs-00917638, HAL.
    • Handle: RePEc:hal:journl:halshs-00917638
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00917638
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    References listed on IDEAS

    as
    1. Aouani, Zaier & Cornet, Bernard, 2009. "Existence of financial equilibria with restricted participation," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 772-786, December.
    2. Bernard Cornet & Ramu Gopalan, 2010. "Arbitrage and equilibrium with portfolio constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 227-252, October.
    3. Bernard Cornet & Abhishek Ranjan, 2012. "A remark on arbitrage free prices in multi-period economy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00707401, HAL.
    4. repec:hal:pseose:halshs-00707401 is not listed on IDEAS
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    Cited by:

    1. Jean-Marc Bonnisseau & Achis Chery, 2018. "Stability of marketable payoffs with re-trading," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01896592, HAL.
    2. Jean-Marc Bonnisseau & Achis Chery, 2014. "On the equivalence of financial structures with long-term assets," Post-Print hal-01130785, HAL.
    3. Jean-Marc Bonnisseau & Achis Chéry, 2023. "Continuity of marketable payoffs with re-trading," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(1), pages 31-53, January.

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    More about this item

    Keywords

    long-term assets; multi-period model; Incomplete markets; financial equilibrium; actifs de long terme; modèle à plusieurs périodes; équilibre financier; Marchés incomplets;
    All these keywords.

    JEL classification:

    • D5 - Microeconomics - - General Equilibrium and Disequilibrium
    • D4 - Microeconomics - - Market Structure, Pricing, and Design
    • G1 - Financial Economics - - General Financial Markets

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